Fits Lasso regression over a single fold of a cross-validated data set. This is meant to be called using cross_validate, which is done through cv_lasso. Note that this procedure is NOT meant to be invoked by itself. INTERNAL USE ONLY.

lassi_origami(fold, data, lambdas, center = FALSE)

Arguments

fold

A fold object produced by a call to make_folds from the origami.

data

A dgCMatrix object containing the outcome values (Y) in its first column and vectors corresponding to the basis functions of HAL in all other columns. Consult the description of HAL regression for details.

lambdas

A numeric vector corresponding to a sequence of lambda values obtained by fitting the Lasso on the full data.

center

binary. If TRUE, covariates are centered. This is much slower, but matches the glmnet implementation. Default FALSE.